Representations and regularities for solutions to BSDEs with reflections

DOI10.1016/j.spa.2004.05.010zbMath1076.60049OpenAlexW2093342865MaRDI QIDQ2485839

Jianfeng Zhang, Jin Ma

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.010

zbMATH Keywords

convergence rateFeynman-Kac formulabackward stochastic differential equation\(L^2\)-modulusBermuda optionpath-regularity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Ordinary differential equations and systems with randomness (34F05)

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